Let X1, X2, and X3 be uncorrelated RVs each with the same mean, µ, and variance, o?. Find expressions for the following in terms of the mean and variance: 1. Cov(X1 + X2, X2 + X3). 2. Cov(X1+ X2, X1 - X2).
Let X1, X2, and X3 be uncorrelated RVs each with the same mean, µ, and variance, o?. Find expressions for the following in terms of the mean and variance: 1. Cov(X1 + X2, X2 + X3). 2. Cov(X1+ X2, X1 - X2).
MATLAB: An Introduction with Applications
6th Edition
ISBN:9781119256830
Author:Amos Gilat
Publisher:Amos Gilat
Chapter1: Starting With Matlab
Section: Chapter Questions
Problem 1P
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Transcribed Image Text:**Problem Statement:**
Let \( X_1, X_2, \) and \( X_3 \) be uncorrelated random variables (RVs) each with the same mean, \( \mu \), and variance, \( \sigma^2 \). Find expressions for the following in terms of the mean and variance:
1. \( \text{Cov}(X_1 + X_2, X_2 + X_3) \).
2. \( \text{Cov}(X_1 + X_2, X_1 - X_2) \).
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**Explanation:**
The problem asks to compute the covariance for two expressions involving combinations of uncorrelated random variables. Since the random variables are uncorrelated, it means that their pairwise covariance is zero, unless they refer to the variance of a single random variable. The solution involves applying properties of covariance and using the provided mean and variance.
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